PETROL FİYATLARI, ALTIN FİYATLARI VE HİSSE SENEDİ GETİRİSİ İLİŞKİSİ

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13

THE RELATIONSHIP BETWEEN OIL PRICES, GOLD PRICES AND STOCK RETURN

Yazar / Author: .

ⁱ

Abdulkadir Barut

ⁱⁱ

Abstract

The aim of this study was to examine the effect of the period 1997M1-2016M5 stock return of oil and gold prices. Johansen-Juselius Cointegration study, Impulse Responses, variance decomposition and Granger causality analysis were used.The analysis results in the of one unit increase in the price of oil has created a decrease of 1,516 units BIST100 stock returns, in other hand of one unit increase in the price of gold has created a increase of 0.455 units BIST100 stock returns. In other words a negative correlation between oil prices and BIST100 , positive relationship between gold prices with BIST100 have been identified. is also a result of the causality analysis were identified two way relationship between oil prices and BIST100. Gold prices are among the statistical BIST100 stock returns that as there was no causation.

Key Words

PETROL

- -

Analizi, Etki-

Anahtar Kelimeler

1.

Economy And Policy isi- hayaydin61@gumushane.edu.tr. ,

, kadirbarut@harran.edu.tr.

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14 k

itiba

-

. 2.

(Hamilton, 1983; Gilbert, 1984;

-

Fazlolahi (2015), S&P 500 endeksi ile petr

-

borsalara etkisini incelemek am -

-

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15 -

-

se senedi endeksi ile -

kullan -

si 1998- -

- 1998-

-

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16 3. Veri ve Metodoloji

-s- - -12 ile mevsimsel

- 3.1.

-Fuller Testi (ADF), -Fuller Testi (ADF), Phillips-Perron (PP) ve Kwiatowski-Phillips-

Schmidt- -

- Dickey-

Yt=Yt-1+ut (1) - ile Yt ve Yt-

Yt= pYt-1 +ut (2) 3.2.

1995:365).

P

Al A

B

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17

,

sabit sabit terim, p, gecikme t,rassal hata terimlerini ifade emektedir

3.3. Johansen- -

edilir.

Johansen-

hata terimler

tahmin edilmektedir;

3.4.

Y

t 0 1

X

t

+u

t

(9) denkleme eklenerek hata gecikme modeli elde edilir.

t 0 1 t 2 t-1 t

(10)

(6)

18 - nin negatif -274).

3.5. Etki-

3.6.

hareketl

yan 2014:515).

3.7. Granger Nedensellik Analizi

(Angle-

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19 4. Bulgular

4.1.

Tablo 3 .

Tablo 2 :

Tablo 2

4.2. Tablo

3 .

Tablo 3 i

Sabitli Sabitli/

Trendli Sabitli Sabitli/

Trendli

B -1.57(0.49) -2.23 (0.47) -15.47^(a) (0.00) -15.45^(a) (0.00)

P -1.54 (0.51) -1.46 (0.83) -12.03^(a) (0.00) -12.05^(a) (0.00)

A -0.168 (0.93) -1.65 (0.76)

Kritik %1

%5

%10

-3,45 -2,86 -2,57

-3,99 -3,42 -3,13

-3,45 -2,86 -2,57

-3,99 -3,42 -3,13 dir.

Lag LogL LR FPE AIC SC HQ

1 1344.185 NA 9.08e-10* -12.30585* -12.16567* -12.24923*

2 1350.501 12.28169 9.31e-10 -12.28111 -12.00075 -12.16786 3 1355.733 10.03105 9.64e-10 -12.24639 -11.82585 -12.07651 4 1358.968 6.111741 1.02e-09 -12.19325 -11.63253 -11.96674 5 1361.078 3.929430 1.08e-09 -12.12976 -11.42885 -11.84662 6 1366.299 9.575421 1.12e-09 -12.09492 -11.25384 -11.75516 7 1374.448 14.71957 1.13e-09 -12.08707 -11.10581 -11.69069 8 1377.274 5.028069 1.20e-09 -12.03018 -10.90874 -11.57716 9 1381.730 7.802325 1.25e-09 -11.98829 -10.72667 -11.47865 10 1388.160 11.08266 1.28e-09 -11.96461 -10.56281 -11.39834

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20 Tablo 3

gecikmede oto- kinci gecikme uygun gecikme

4.3.

analizi ile test edilip Tablo 4

AR

Tablo 4: Otokorelasyo Gec. LM-

1 9.313021 0.4089 2 6.749141 0.6632 3 2.867462 0.9693 4 9.187736 0.4201 5 10.72263 0.2952 6 5.682949 0.7712 7 9.332687 0.4071 8 9.982324 0.3519 9 13.79656 0.1297 10 14.30282 0.1120 11 14.51397 0.1052 12 7.121830 0.6244

Tablo 4

ite (White Tablo 6

Tablo 5

11 1400.094 20.23852 1.25e-09 -11.99165 -10.44967 -11.36876 12 1413.193 21.85089* 1.21e-09 -12.02943 -10.34726 -11.34990 13 1422.136 14.67219 1.21e-09 -12.02890 -10.20656 -11.29275 14 1428.237 9.839976 1.25e-09 -12.00218 -10.03966 -11.20941 15 1432.722 7.109369 1.31e-09 -11.96057 -9.857866 -11.11116

LR: Likelihood Ratio FPE: Final Prediction Error AIC: SC: Schwarz HQ: Hannan Quinn

Ki-Kare Df

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21 Tablo 5

(p=0,79>0,05).

-1:

e tahmin edilen modele ait AR karakteristik

4.4.

Tablo 6

B P A

B(-12) -0.179642 -0.044469 -0.011327

P(-12) -0.277729 -0.162647 -0.033423

A(-12) 0.302326 -0.132007 -0.154344

R² 0.24

2 0.10

F-istatistik 1.71

Durbin Watson 2.00

B= -0.044P(-12)-0.011A(-12)

4.5.

- -

Tablo 6

407.10 432 0,79

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22

Tablo:7 Johansen- -

Hipotez (H:0)

Kritik %5 %5

Kritik

B r=0* 34.41397 17.79730 0.0001 73.30036 24.27596 0.0000

P 28.04270 11.22480 0.0000 38.88638 12.32090 0.0000

A 10.84368 4.129906 0.0012 10.84368 4.129906 0.0012

- az bir tane ko-

-

B= -1.516(P) +0.455(A)

4.6.

Tablo 7

Tablo 8

-0.440) ve

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23 Durbin-

²

4.7.

edilip Tablo 8

ve

.

Tablo:9 Granger Nedesellik Analizi

Chi-sq

P B 24.68 0.01*

A B 15.87 0.19

B P 22.01 0.03**

A P 8.02 0.78

B A 10.56 0.56

P A 11.83 0.43

4.8. Vary

Tablo 10

Standart Hata B P A

1 0.052591 100.0000 0.000000 0.000000

2 0.052637 99.97735 0.022535 0.000112

3 0.052840 99.21340 0.528085 0.258510

4 0.053327 98.64019 0.758461 0.601352

5 0.053521 98.23045 1.144187 0.625367

6 0.054142 96.28538 1.690939 2.023678

7 0.055639 91.68620 5.875654 2.438148

8 0.056570 90.01151 7.063396 2.925092

9 0.056692 89.62834 7.037310 3.334349

10 0.057349 87.72988 7.765826 4.504294

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24 etkilemmektedir.

4.9. Etki- -II: Etki-

neme kadar azalan itibaren

- tepki

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25 ve Yerdelen ( Chen ve Hsu 2012;

bren

:

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